jjunkk, hello. Your question is quite the challenge. I can't get a Connection to pin either, and I find no discussions about it anywhere.
There seem to be very few things that can't be pinned. I can pin Application shortcuts, Internet shortcuts, Folders, Control Panel items, Libraries, Desktop icons (Network, Recycle Bin, etc.), and Virtual Machines. Those are just the ones that I tried. But, that Local Area Connection won't pin -- not to the taskbar or the start menu. Why a network connection can't be pinned, as it could in XP, is beyond me. Maybe it's a bug. I can't think of any reason to prohibit this. I was able to add it to Start -> All Programs, but there are no "pin to..." selections in the context menu and it never shows up in the Recently Opened Programs list. Of course, it's not a "program".
You can pin the Network and Sharing Center, and even Network Connections, just not any of the actual connections. Bizarre!